I mean, they didn't say "you can't download the product of your work" or something.

Sure, but neither did I. I summarized the quote, but OP's full quote included the the value of having the work artifacts and works-in-progress on your system to look at. If you are developing software on a VM, there will still be tools to view the artifacts remotely, but this Agents API is still a sign of local development trending away.